Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0264
Annualized Std Dev 0.2381
Annualized Sharpe (Rf=0%) -0.1107

Row

Daily Return Statistics

Close
Observations 4296.0000
NAs 1.0000
Minimum -0.2235
Quartile 1 -0.0052
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0060
Maximum 0.2304
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0150
Skewness -1.1129
Kurtosis 43.9448

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0109
Loss Deviation 0.0138
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.7126
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0367
Modified VaR (95%) -0.0158
Modified ES (95%) -0.0158
From Trough To Depth Length To Trough Recovery
2007-07-17 2009-03-09 NA -0.7126 3445 415 NA
2004-03-05 2004-05-10 2007-05-18 -0.2376 807 46 761
2007-06-06 2007-06-12 2007-07-12 -0.0276 26 5 21
2007-05-21 2007-05-24 2007-05-30 -0.0107 7 4 3
2007-06-01 2007-06-01 2007-06-04 -0.0010 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0 0 1 3.4 1.7 2.1 0.8 1.3 -0.1 0.3 0.7 11.6
2005 -0.4 0.2 -0.6 -0.2 0.7 0.6 0.2 -0.1 -0.2 -0.5 0.7 0.6 1
2006 -0.1 0.3 0.2 -0.1 0.6 -0.2 -0.5 0.2 -0.3 -0.3 -0.3 -0.2 -0.5
2007 0.1 -0.3 0.1 0.2 -0.1 -0.3 -0.3 1.2 0.8 -1.4 1.5 -1.5 0
2008 0.7 -2.7 2.7 0.8 0.2 -0.1 0.3 -0.4 1.6 0.8 -7.3 2.5 -1.3
2009 -1.6 -2 1.1 1.4 1.9 0.5 1.1 -1.2 -1.7 -2.3 1.2 0.2 -1.4
2010 1 0.6 0.5 -1.3 -1.1 0.6 0.5 2.6 0.1 0 1.3 0.1 4.9
2011 1 -0.7 0.3 0.1 -1.1 -2 0.2 -1.3 -1.6 -1.2 0.5 0.3 -5.4
2012 1 0.4 0.7 0.8 -1.5 2.3 0.8 0.4 0.7 1.4 -0.3 1 7.7
2013 0.2 0.1 0 0.4 -3.5 1.3 0.1 0.3 0.2 0.7 0.4 0.4 0.3
2014 -0.3 -0.2 0.6 0 0.2 0.1 -2 0.6 -1.3 0.6 -1.2 -1.4 -4.3
2015 -1.4 0.5 -0.1 0.2 0.4 -0.2 0.4 -2.4 0 -0.3 0.1 -0.2 -2.8
2016 -0.2 1.2 -0.6 0.3 0.5 0.8 -0.6 0.1 1.2 -1.3 -0.7 1.1 2
2017 0.1 1 1.5 0.3 0 0.1 -0.3 0.2 1.2 -0.9 0 0.4 3.6
2018 -0.1 -1.7 1.7 -0.5 0.5 0.9 0.9 -1.1 1.2 2.3 0 1.2 5.4
2019 0 0.4 0.5 -0.7 -1.3 -0.4 -0.9 0.7 -1.6 0.4 0.3 0.1 -2.7
2020 -0.8 -2.1 -5.3 -2.9 0.9 1.1 0.2 0.3 -0.1 -1.7 1.6 0.2 -8.6
2021 2.1 2 0.7 NA NA NA NA NA NA NA NA NA 4.8

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart